Sino-French Applied Mathematics Institute +
In June 1997, president Jacques sent a letter to president Jiang Zemin, proposing that China and France should jointly carry out six projects, one of which is the Sino-French Applied Mathematics Institute by École Polytechnique and Fudan University. With regard to Mr. Chirac’s suggestions, President Jiang Zemin made an affirmative response. In light of this, Fudan University views establishment of the institute as an important part of the “211 project” for mathematics.
For more information, please go to the website of Sino-French Applied Mathematics Institute: www.isfma.org
MoE’s Open Laboratory of Nonlinear Mathematical Models and Methods +
Established in November 1994, the laboratory carried out a series of research projects of non-linear mathematical theories and methods applied in natural sciences, high-tech fields and economy. Advancing the frontiers of core mathematics, we will be committed to making contributions to the development of the national economy and the neighboring scientific disciplines. http://lmns.fudan.edu.cn
Shanghai Key Laboratory of Modern Applied Mathematics +
Established in November 1994, the laboratory carried out a series of research projects of non-linear mathematical theories and methods applied in natural sciences, high-tech fields and economy. Advancing the frontiers of core mathematics, we will be committed to making contributions to the development of the national economy and the neighboring scientific disciplines. http://sklcam.fudan.edu.cn
Centre for Computational Systems Biology, Fudan University +
The Centre for Computational Systems Biology (CCSB) was founded in March 2008. The Centre is affiliated to the Innovation Platform for Science and Technology of Fudan University. Our center focuses its research on Computational Neuroscience and Cellular Biology. The director of the centre is Professor Jianfeng Feng, also professor and head of the Laboratory of Computational Biology in Warwick University, United Kingdom. The Centre now has around 30+ research members and one full-time secretary. http://ccsb.fudan.edu.cn
Mathematics and Finance Institute of Fudan University +
Established in November 1998, Mathematics and Finance Institute of Fudan University is dedicated to providing mathematical solutions for financial problems and cultivating financial talents on our own. Currently, the general director is Professor Tang Shanjian.
Located in Shanghai, one of China’s major financial centers, the Institute takes advantage of the remarkable academic strength of Fudan university in mathematical sciences (including basic mathematics, applied mathematics, operations research and cybernetics, computational mathematics and probability statistics) and conduct a multitude of theoretical research projects, application analysis and training programs.
Part of research projects
1.Position management of a bank: The project is designed to find out how much cash a bank needs to run everyday business, since too much cash decreases liquidity, leading to a loss of revenue, while insufficient cash may affect withdrawals.
2.Issues of foreign exchange trading: Serving as the dealers in domestic foreign exchange markets, banks simultaneously play the part of investors in international foreign exchange trades. Different from domestic markets, the international ones require a minimum amount of investment, for example, 100,000 US dollars. Taking the gap into consideration, the project is designed to providing satisfying profit margin for banks by setting appealing commission rates, buying rates and offer rates in foreign exchange trades to most investors.
3.Credit issues: This project is designed to provide an accurate definition of credit default with quantitative approaches and work out how to measure the debt-paying ability and credibility of debtors when complete data is not available.
4.Internal management of Banks: This project is designed to solve the following problems: distribution of branches (branches, sub-branches, business offices); reasonable costs of each branch; benchmarks for measuring performance of each branch.
5.Issues of personal credit: This project is designed to solve the following problems: How to categorize costumers? How to determine the relationship among credibility of these costumers, the proposed loan amount, loan terms, loan interest rates and the bank's revenue, etc.
How to apply our research to business practice?
1. Systems of quantitative risk management for commercial banks: Commercial bank management requires sophisticated quantitative risk management techniques. We can use mathematical finance technology to develop a quantitative management system for commercial bank liquidity risk management, credit risk management, interest rate risk management, asset liability management, loan term allocation and foreign exchange risk management, etc.
2. Portfolio optimization for insurance companies: An important feature of insurance company portfolios is to regard interest rate sensitive assets as their major component. With the stochastic optimal control method and the maturity structure theory of interest rates developed by forward-backward stochastic differential equations, we can find the optimal portfolio plan.
3. Investment in securities or funds? This application is designed to improve structure of portfolio and figure out the optimal portfolio plans by modifying the ratios of the investment in securities and funds according to different variables such as trading fees, stochastic interest rates, various portfolio constraints and so on.
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